Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Work
Year: 2000
Type: article
Abstract: Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asymptotically normal in the presence of long-range dependence. Generalizing ... more
Authors Carlos Velasco, Peter M. Robinson
Institution Universidad Carlos III de Madrid
Cites:
Cited by: 37
Related to: 10
FWCI: 0.571
Citation percentile (by year/subfield): 80.3
Subfield: Finance
Domain: Social Sciences
Open Access status: green